Testing for ARCH Effect of Stock Market Volatilities in China

摘要：

Using four kinds of models of GARCH, this paper makes an empirical analysis of the volatility in Shanghai stock market, The positive conclusion shows that there are significant ARCH effects in Shanghai stock market, asymmetric volatility characteristic is exist significantly and the volatility is highly persistent. EGARCH model is effective in the simulation of the volatility of Shanghai stock market.

关键词： Asymmetric Volatility GARCH Stock Market

作者: CHEN Zhaoxu HE Xiaowei GENG Yuxin

作者单位: Dept.of Public Administration, Changchun Taxation College, P.R.China, 130117 School of Economics and Management, Tsinghua University, P.R.China, 100044 Bank of Communications, Guangzhou Provincial Branch, P.R.China, 510120

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）